Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0246
Annualized Std Dev 0.1940
Annualized Sharpe (Rf=0%) -0.1266

Row

Daily Return Statistics

Close
Observations 3806.0000
NAs 1.0000
Minimum -0.0778
Quartile 1 -0.0063
Median 0.0004
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0065
Maximum 0.0687
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0122
Skewness -0.3377
Kurtosis 2.8936

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0078
Loss Deviation 0.0089
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.7739
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0295
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0331
From Trough To Depth Length To Trough Recovery
2008-07-03 2020-04-27 NA -0.7739 3201 2974 NA
2006-05-12 2007-01-18 2007-09-19 -0.1607 341 172 169
2008-03-14 2008-03-20 2008-04-16 -0.1001 23 5 18
2006-02-06 2006-02-15 2006-04-06 -0.0894 43 8 35
2008-05-22 2008-06-04 2008-06-09 -0.0668 12 9 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA -0.2 -0.7 1.1 -1.2 0.4 0.5 -0.2 0.3 1.3 0 0.4 1.5
2007 -0.4 -1 -1.5 0.2 0.7 -0.1 -0.2 0 -1 -1.3 -1.2 0.1 -5.4
2008 -1.8 -1.6 -0.6 -2.3 0.7 1.8 -1.1 -0.4 -2.3 1.1 -3.1 4.2 -5.5
2009 -0.6 -1.2 -0.3 3 2.8 -0.4 2 -1.5 -0.6 -2.5 0.7 -0.3 0.9
2010 2.4 -1 2 0.8 -1.9 -1.5 1.3 2 0.2 0.6 3 1.9 10
2011 0.7 1.5 0.7 1 -1.3 0.1 0 -0.7 -3.4 -1.2 -0.4 -0.1 -3.1
2012 0.3 1.6 1.1 0 -2.1 4.3 0.1 1.1 0.1 0.2 0.1 0.5 7.6
2013 0.4 -0.7 0 -1.8 -1.2 0.6 0.2 -0.3 -0.7 -1.2 0 -0.2 -4.7
2014 -0.1 0.3 -1.2 -0.8 -0.8 -0.3 -0.8 0.2 -0.3 -0.1 2.1 -0.8 -2.6
2015 2.4 1.1 1.8 -0.1 -0.2 -1.2 -1.4 -3.3 -0.7 1 1.1 0.5 0.9
2016 -1.9 0.1 -1.7 1 1 1.2 -1.8 -1.1 0.3 0.5 1.8 0.2 -0.4
2017 1.1 0.4 0.2 0.2 -0.7 2 -1.1 0.1 -0.5 0.1 0.9 0.3 3
2018 1 0.2 0.9 -0.6 -0.7 1.1 -1.4 0.1 1.9 -0.7 -0.5 0.3 1.6
2019 0.9 -1.1 0.9 -0.3 -2.6 -0.1 -2.8 -1.6 -0.1 1.8 -2 -0.6 -7.4
2020 -0.8 -1.7 -2.8 -1.3 0.6 0.8 0.5 0.1 -1.2 0 -0.3 0.4 -5.6
2021 1.9 -0.8 2.2 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-02-03  24.5 SPY    126. -0.005  -0.0177   -0.0081   0.0371   0.0614    0.479  -0.0756 GLD    56.5 -0.0084   0.0156
2 2006-02-06  24.2 SPY    127.  0.0026 -0.0143   -0.0061   0.0354   0.053     0.492  -0.0813 GLD    56.7  0.0039   0.0007
3 2006-02-07  23.5 SPY    125. -0.0088 -0.0158   -0.023    0.0276   0.0451    0.486  -0.0842 GLD    54.6 -0.0374  -0.037 
4 2006-02-08  23.4 SPY    127.  0.0091 -0.0138   -0.0167   0.0359   0.0533    0.518  -0.082  GLD    54.8  0.0042  -0.033 
5 2006-02-09  23.6 SPY    126. -0.0017 -0.0039   -0.0193   0.0342   0.0595    0.505  -0.0622 GLD    56.2  0.0246  -0.014 
6 2006-02-10  23.2 SPY    127.  0.0018  0.00290  -0.0206   0.0347   0.0576    0.518  -0.0674 GLD    54.8 -0.0247  -0.0303
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart